Quants' tail of woe

Liquidations of large quantitative equity portfolios prompted widespread misfiring of hitherto robust quant models. Historically unusual returns volatility and multi-billion-dollar mark-to-market losses ensued. Leading hedge fund managers talk to Jayne Jung about the tumult and lessons learnt


One by one, most of the biggest names in quantitative equity trading have been disclosing huge mark-to-market losses. Analysts believe a large-scale liquidation of one or more quant equity portfolios prompted erratic moves in stock prices and correlations, and that this caused the problems during August.

Among hedge funds, star managers racked up hefty mark-to-market losses within the first 10 days of August (Risk September 2007, page 11). Renaissance Technologies' institutional equities fund had

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